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Tail dependence and heavy tailedness in extreme risks
Insurance: Mathematics and Economics, 2021Ken Seng Tan, Fan Yang
exaly
Taylor’s law and heavy-tailed distributions
Proceedings of the National Academy of Sciences, 2021Lindquist, W. Brent +1 more
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Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations
Studies in Nonlinear Dynamics and Econometrics, 2022Jiazhu Pan
exaly
Heavy and super-heavy tail analysis
2012In this chapter we summarize results in extreme value theory, which are primarily based on the condition that the upper tail of the underlying df is in the δ-neighborhood of a generalized Pareto distribution (GPD). This condition, which looks a bit restrictive at first sight (see Section 2.2), is however essentially equivalent to the condition that ...
Fraga Alves, Isabel +2 more
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